【文章內(nèi)容簡(jiǎn)介】 onship managers. 牢記客戶經(jīng)理的角色 In a nut shell, risk management as graphically presented 風(fēng)險(xiǎn)管理簡(jiǎn)要圖示 Four markets to be watched for Exposure 信貸限額需要觀察的四個(gè)市場(chǎng) Loans 貸款 Credit Cards, Corporates 信用卡，公司 業(yè)務(wù) Derivatives 衍生品 OTC , Exchanges 柜臺(tái)交易， 證券交易 Capital Markets 資本市場(chǎng) Public issues, Syndication, Bonds 公共 項(xiàng)目，銀團(tuán)貸款，債券 Money Markets 貨幣市場(chǎng) ST Loans , Overdrafts 短期貸款，透支 Credit Risk is Underpriced 信用風(fēng)險(xiǎn)被 價(jià)值低估 I want to bring this up, because you are business people, and pricing is important for you to acquire the business. Sometimes, business and credit do not agree. 我 想提出這一點(diǎn)，因?yàn)楦魑欢际巧虡I(yè)人士，而定價(jià)對(duì)商人贏得業(yè)務(wù)至關(guān)重要。而有時(shí)，業(yè)務(wù)與信貸會(huì)產(chǎn)生矛盾。 Credit Pricing – based on grades 信貸定價(jià)－基于信用級(jí)別 What / How to price? 對(duì)什么 /如何定價(jià)？ Using Cost Plus Model 運(yùn)用成本附加模型 Term Structure of Rates (Yield Curve) 利率的期限結(jié)構(gòu)（收益曲線） M a t ur i t y i n Y e a r s期限（年）C os t of Fun ds 資金成本1 5 . 0 %2 5 . 5 %5 1 0 . 0 %Historical Loss Rate by IRB 內(nèi)部評(píng)級(jí)法得出的歷史損失率 R at in g評(píng)級(jí)H is t or ic al 5 Y ea r Lo s s R at e (% )五年歷史損失率（％）A A A = 1 0 . 0 1A A = 2 0 . 1 9BB = 5 6 . 1 5PRICE BUILD UP USING COST PLUS BASIS 運(yùn)用成本附加模型的價(jià)格構(gòu)成 Bo rro w e r39。s R i s k G ra d e 借款人風(fēng)險(xiǎn)級(jí)別 5L o a n M a t u ri t y 貸款期限 5 Ye a rs5 Ye a r l o s s ra t e (% ) 五年損失率 6 . 1 5 %C a p i t a l R a t i o (% ) 資本比率 8%T h re s h o l d R a t e o f R e t u rn (% ) 最低回報(bào)率 16%L o a n A m o u n t 貸款金額 1 , 0 0 0 , 0 0 0C a p i t a l R e q u i re d 所需資本金 8 % x 1 m i o = 8 0 , 0 0 0Price build up 價(jià)格構(gòu)成 C h a rg e a t 1 6 % p a (0 . 1 6 x 8 0 k ) 1 2 , 8 0 0C o s t o f f u n d s @ 1 0 % F i x e d (1 0 % x 9 2 0 k ) 9 2 , 0 0 0A n n u a l l o s s p ro v i s i o n s (0 . 0 1 x 6 . 1 5 x 1 m i o / 5 ) 1 2 , 3 0 0Bre a k e v e n I n t e re s t I n c o m e (1 2 . 8 k + 9 2 k + 1 2 . 3 k ) 1 1 7 , 1 0 0L o a n I n t e re s t R a t e (1 1 7 k / 1 m i o ) 1 1 . 7 1 %M i n i m u m Sp re a d (1 1 . 7 1 1 0 . 0 0 ) 1 7 1 b p sIs this capital allocation correct? 這樣的資本分配正確嗎？ ? Yes, but 正確，但是 ? Drawback is that only expected loss is linked to the credit quality 弊端在于只有預(yù)期損失與信貸質(zhì)量有關(guān) ? And capital charge (8%) at 16% cost of equity may not be sufficient if loan default. 并且資本費(fèi)用（ 8%）按股本成本的 16%在貸款出現(xiàn)違約后不足以彌補(bǔ) ? At the rate of 17,100 ine (117,100 minus 100,000 funding cost) per 1,000,000 the bank will need million to cover the loss of 1,000,000 in 1 year!!! 按照每 1百萬元 17,000元的凈收入 (117,100減去融資成本 100,000)比例，銀行需要 5千 8百萬元來抵消在 1年內(nèi) 1百萬元的損失 !!! ? Another drawback is that it assumes 2 states only – default or no default 另一個(gè)弊端是它只假設(shè)了兩種狀態(tài) – 違約和不違約 ? It does not model the credit risk premium or discount resulting from credit migration – up or down. 沒有建立由于信貸交易而導(dǎo)致的信貸風(fēng)險(xiǎn)費(fèi)率或貼現(xiàn)率模式 – 上升或下降。 Effect of Rating Migration on Spread 評(píng)級(jí)的變動(dòng)對(duì)管理費(fèi)率的影響 ? Assumes the expected loss on a swap exposure is 45,797. Fixed at 8%. 假設(shè)一筆掉期交易的預(yù)期損失為 45,797， 固定利率 8%。 ? The customer is rated BBB. The implied spread is 200 bp 客戶的評(píng)級(jí)為 BBB。 需要的相應(yīng)費(fèi)用為 200bp。 ? What is the impact on the spread if its grade bees BB? 如果客戶的評(píng)級(jí)是 BB， 對(duì)于費(fèi)用有何影響？ What should the charge be? 收取的費(fèi)用應(yīng)為多少？ D o w n g ra d e f ro m BBB (2 0 0 b p ) t o I n cre me n t a l Sp re a d T ra n si t i o n a l % I n cre me n t a l Ex p e ct e d L o ss o n 4 5 , 7 9 7BB 1 5 0 (3 5 0 2 0 0 )9 . 5 %5 . 3 0 % 2319 . 5 % x 4 5 , 7 9 7 x 5 . 3 %B 280 1 . 1 7 % 581 0 . 8 % x 4 5 , 7 9 7 x 1 . 1 7 %CCC 900 0 . 1 2 % 91 7 % x 4 5 , 7 9 7 x 0 . 1 2 %= 2 9 8What does SCB use? 渣打銀行使用什么方法？ ? Economic Profit model 經(jīng)濟(jì)效益模型 ? Credit default swap equivalent 信貸違約等量交換 ? EL by grades and tenor band 按照等級(jí)和期限范圍 Monitoring 監(jiān)督 ? Stress testing – portfolio changes by 2 notches 應(yīng)變測(cè)試 – 組合按兩個(gè)缺口變化 ? Top users of capital 頂級(jí)資本用戶 ? Largest mark to market counterparties 最大市場(chǎng)化的交易對(duì)手 ? Scenario testing 類型測(cè)試 ? Sharing of information 信息共享 ? Fostering a willingness to change